Ideally, one should give tzdaka anonymously in order to save the receiver from embarrassment. What is surprising is that it is only considered a preferred form of tzdaka but is not an obligation according to the strict letter of the law. We must understand why! If one can save someone from embarrassment then why is he not obligated to do so??
Not only is does this confound logic but we also have a gemara that seems to contradict this rule. The gemara in Ksuvos [67b] relates that Mar Ukva jumped into a furnace in order to save a pauper from embarrassment: Mar Ukva had a poor man in his neighborhood into whose door-socket he used to throw four zuz every day. Once [the poor man] thought: ‘I will go and see who does me this kindness’. On that day [it happened] that Mar Ukba was late at the house of study and his wife was coming home with him. As soon as [the poor man] saw them moving the door he went out after them, but they fled from him and ran into a furnace from which the fire had just been swept. [See there for the rest of the story]. If there isn't an obligation according to the strict letter of the law then why would he do such a thing?
In order to answer this question we have to first understand that the obligation to feel gratitude is not just a matter of good character but is actually a halachic obligation. An example of this obligation can be found in the law of an עבד כנעני. The law is that one may not free such an עבד as the pasuk says לעולם בהם תעבודו. However, if one is indebted to him for an act of kindness [that the עבד was not obligated to perform] then it is permitted to free him [see the sefer דולה ומשקה page 273]. This is because the obligation to express gratitude is so fundamental and basic that it must be exhibited even to the point of freeing an עבד עברי.
When an עני receives צדקה the gemara says פניו משתנות- his face turns colors out of shame. This color change in the face is because a person's honor is in his freedom and since the obligation he now has towards his benefactor subjugates him, his face changes colors to express the loss of his freedom. He is now indebted to someone else and is thus no longer a free man. Just as one would not tell a rich man that he doesn't have to pay for an item because it is unpleasant for him so we would not say to a poor man that he need not be ashamed because it is unpleasant. The shame is an expression of his new found obligation to his benefactor which cannot be overlooked.
This is all according to the strict letter of the law. However, if one wants to go above the letter of the law he should forgive this obligation of embarrassment. Once he forgives, any embarrassment caused is like every other case of embarrassing a fellow man, which is a very stringent sin. The case of Mar Ukva [Ksuvos 67b] was an instance where the man had already received the money and the embarrassment had been forgiven. Now he was about to find out who his benefactor HAD BEEN after mechila on the embarrassment had already been granted. That is why Mar Ukva felt compelled to jump in the furnace.
[Igros Pachad Yitzchak page 24]
Wonder of Wonders:-)